A time varying GARCH() model and related statistical inference

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• 作者：Neelabh Rohan
• 关键词：62M10 ; 62G05
• 刊名：Statistics and Probability Letters
• 出版年：2013
• 出版时间：September, 2013
• 年：2013
• 卷：83
• 期：9
• 页码：1983-1990
• 全文大小：493 K

文摘

We propose a two-step local polynomial and a weighted bootstrapped estimator for the parameter functions of a time varying GARCH() model. We also suggest a test statistic for testing the constancy of parameter functions of the model. Asymptotic distributions of the estimators and a test statistic are derived. The validity of the bootstrapped estimator and the test is established with the help of a simulation study.